Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study

X Huang, CW Oosterlee, MAM Mesters

Research output: Contribution to journal › Article › Scientific › peer-review

Keywords

@article{a8dba2f0a35e4b15827356216a86ff2d,

title = "Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study",

keywords = "Vakpubl., Overig wet. > 3 pag",

author = "X Huang and CW Oosterlee and MAM Mesters",

year = "2007",

language = "Undefined/Unknown",

volume = "3",

pages = "75--96",

journal = "The Journal of Credit Risk",

issn = "1744-6619",

publisher = "Incisive Media Ltd.",

number = "3",

}